The Strategic Exploitation of Limited Information and Opportunity in Networked Markets

This paper studies the effect of constraining interactions within a market. A model is analysed in which boundedly rational agents trade with and gather information from their neighbours within a trade network. It is demonstrated that a trader’s ability to profit and to identify the equilibrium price is positively correlated with its degree of connectivity within the market. Where traders differ in their number of potential trading partners, well-connected traders are found to benefit from aggressive trading behaviour.Where information propagation is constrained by the topology of the trade network, connectedness affects the nature of the strategies employed

Strategies used as spectroscopy of financial markets reveal new stylized facts

We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed order flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This enormous dataset allows us to compare (i) a closed national market (A-shares) with an international market (B-shares), (ii) individuals and institutions and (iii) real investors to random strategies with respect to timing that share otherwise all other characteristics. We find that more trading results in smaller net return due to trading frictions. We unveiled quantitative power laws with non-trivial exponents, that quantify the deterioration of performance with frequency and with holding period of the strategies used by investors. Random strategies are found to perform much better than real ones, both for winners and losers. Surprising large arbitrage opportunities exist, especially when using zero-intelligence strategies. This is a diagnostic of possible inefficiencies of these financial markets.Comment: 13 pages including 5 figures and 1 tabl

Size Effects in Agent-Based Macroeconomic Models: An Initial Investigation

We investigate the scale-free property of an agent-based macroeconomic model initially proposed by Wright (2005), called the Social Architecture (SA) model. The SA model has been shown to be able to replicate a number of important features of a macroeconomy, such as patterns concerning economic growth, business cycles, industrial dynamics and income distribution. We explore whether macroeconomic stylized features resulting from this model are robust when the number of agents populating the (model) economy vary. We simulate the model by systematically varying the agent population with 100, 500, 1000, 2,000, 4,000, 8,000 and 10,000 agents. Our results indicate that the SA model does exhibit significant size effects for several important variables

Challenging the heterogeneity of disease presentation in malignant melanoma-impact on patient treatment

There is an increasing global interest to support research areas that can assist in understanding disease and improving patient care. The National Cancer Institute (NIH) has identified precision medicine-based approaches as key research strategies to expedite advances in cancer research. The Cancer Moonshot program ( https://www.cancer.gov/research/key-initiatives/moonshot-cancer-initiative ) is the largest cancer program of all time, and has been launched to accelerate cancer research that aims to increase the availability of therapies to more patients and, ultimately, to eradicate cancer. Mass spectrometry-based proteomics has been extensively used to study the molecular mechanisms of cancer, to define molecular subtypes of tumors, to map cancer-associated protein interaction networks and post-translational modifications, and to aid in the development of new therapeutics and new diagnostic and prognostic tests. To establish the basis for our melanoma studies, we have established the Southern Sweden Malignant Melanoma Biobank. Tissues collected over many years have been accurately characterized with respect to the tumor and patient information. The extreme variability displayed in the protein profiles and the detection of missense mutations has confirmed the complexity and heterogeneity of the disease. It is envisaged that the combined analysis of clinical, histological, and proteomic data will provide patients with a more personalized medical treatment. With respect to disease presentation, targeted treatment and medical mass spectrometry analysis and imaging, this overview report will outline and summarize the current achievements and status within malignant melanoma. We present data generated by our cancer research center in Lund, Sweden, where we have built extensive capabilities in biobanking, proteogenomics, and patient treatments over an extensive time period

Terminal valuations, growth rates and the implied cost of capital

This article is published with open access at Springerlink.comWe develop a model based on the notion that prices lead earnings, allowing for a simultaneous estimation of the implied growth rate and the cost of equity capital for US industrial sectors. The major difference between our approach and that in prior literature is that ours avoids the necessity to make assumptions about terminal values and consequently about future growth rates. In fact, growth rates are an endogenous variable, which is estimated simultaneously with the implied cost of equity capital. Since we require only 1-year-ahead forecasts of earnings and no assumptions about dividend payouts, our methodology allows us to estimate ex ante aggregate growth and risk premia over a larger sample of firms than has previously been possible. Our estimate of the risk premium being between 3.1 and 3.9 % is at the lower end of recent estimates, reflecting the inclusion of these short-lived companies. Our estimate of the long run growth is from 4.2 to 4.7 %

Implied cost of capital investment strategies - evidence from international stock markets

Investors can generate excess returns by implementing trading strategies based on publicly available equity analyst forecasts. This paper captures the information provided by analysts by the implied cost of capital (ICC), the internal rate of return that equates a firm's share price to the present value of analysts' earnings forecasts. We find that U.S. stocks with a high ICC outperform low ICC stocks on average by 6.0% per year. This spread is significant when controlling the investment returns for their risk exposure as proxied by standard pricing models. Further analysis across the world's largest equity markets validates these results